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Holy Grail! As you can attain 75% accurate/winning when trading long premium options that sometimes last for multiple days, considering the expensive cost of time value decay for multiple-day options, I would think your Purely mechanical system almost have it all figured out already...

You now clarified my understanding that you must get intra-day prices of all strike for their options in order to carry out meaningful backtesting, don't? Otherwise the only way to do is realtime forward testing, as you mentioned above. That means, before any forward testing, the answer is...

Thanks. That would be nice! Where do you get your data services for backtesting with options daily OHLC?

Thanks for your feedback Jeff. Just curious: How do you know/determine whether next time you should go fishing comfortably without worrying when this time you decided not to keep/leave a trade open when driving to Washington? Q Quote from jeffalvinson: At this point I have...

One more thing I don't really understand well. Now you observed Just-In-Time that "Program indicates a change of direction." Looks like the 1.85 were filled twice (call and put) for SAR purpose. That means the above two trades don't appear behaving like a general mechanical trading as...

Perhaps after clsoing each trade, according to the strike and filled price, Jeff can provide the daily OHLC of the relevant trade-days for the closed trade for our reference. Q Lets take a real example of the data and program outs that resulted in the 10/3/2012 winning call trade: (this...

Great thread! Would it be possible to let us know the ATM strike or at what current price each time when entering blanket orders? Thanks!

Perhaps reversing All the signals of the 10% win-rate set-up would give you a 90% win-rate set-up! :D

Only $7 from Amazon.com

http://www.cmegroup.com/clearing/files/IR-284_OptionsExercise.pdf " Abandonment of Automatic Exercise: Recall that long position holders reserve the right to decline automatic exercise, even if the option series they own has expired in the money. To see what this means for pro rata matching...

An Evaluation of JH Methods could be a good phd topic, imo.

IMF warns on global recession AUSTRALIA'S economic prospects have been downgraded by the International Monetary Fund, as it warned the world economy risked plunging into recession unless European and American leaders acted swiftly to address their countries' debt woes. With growth slowing...

The boom has bust? It's only just started... The resources boom is the first of three great waves arising from the Asian century. In fact the global change is so big historians will still be talking about it in 200 years...

+100% Trading is simply a unique kind of competitive games heavily involving risks and propabilities. Enjoy it as long as you can (no matter gaining or losing)!

+10

My guess is, when trading size without leverage, a ratio for Return:MaxDD greater than 1.5 (close to 25%:17% as mentioned below) would be quite extraordinary! Just 2 cents.

for the first time, trading without options is hard to make profits. for the last time, trading with options is harder to make profits. :D

http://www.elitetrader.com/vb/showthread.php?s=&threadid=170758

My suggestion is All patents are subject to some compulsory licensing conditions including certain pre-defined/formulated licensing fees term, within a few years of commencing commercialisation of the patent. A Win-Win solution to All small inventors/ big inventors/ consumers. The initial...

" Exponential legal fees are still a cause of dismay. In the ongoing Apple/Samsung battle it is alleged that all those fees and penalties will be borne by consumers, but that is unproven. Advertisement The bigger question is: Is this the end of innovation? Is the patent system and ensuing...